Package org.jquantlib.math.interpolations

Examples of org.jquantlib.math.interpolations.SABRInterpolation$SABRInterpolationImpl

1118
1119
1120
1121
1122
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
            for (int k_a=0; k_a<isAlphaFixed.length; ++k_a) {
              for (int k_b=0; k_b<isBetaFixed.length; ++k_b) {
                for (int k_n=0; k_n<isNuFixed.length; ++k_n) {
                  for (int k_r=0; k_r<isRhoFixed.length; ++k_r) {
//FIXME: uncomment
                    final SABRInterpolation sabrInterpolation = new SABRInterpolation(
                            new Array(strikes), new Array(volatilities),
                            expiry, forward,
                            alphaGuess, betaGuess, nuGuess, rhoGuess,
                            isAlphaFixed[k_a], isBetaFixed[k_b],
                            isNuFixed[k_n], isRhoFixed[k_r],
                            vegaWeighted[i],
                            endCriteria, methods[j]);
                    sabrInterpolation.update();

                    // Recover SABR calibration parameters
                    final boolean failed = false;
                    final double calibratedAlpha = sabrInterpolation.alpha();
                    final double calibratedBeta  = sabrInterpolation.beta();
                    final double calibratedNu    = sabrInterpolation.nu();
                    final double calibratedRho   = sabrInterpolation.rho();

                    // TODO: remove these declarations. Added just to make it compile.
//                    final double calibratedAlpha = Double.NaN;
//                    final double calibratedBeta  = Double.NaN;
//                    final double calibratedNu    = Double.NaN;
View Full Code Here
1118
1119
1120
1121
1122
1123
1124
1125
1126
1127
1128
1129
1130
1131
1132
1133
1134
1135
1136
1137
1138
1139
1140
1141
1142
1143
            for (int k_a=0; k_a<isAlphaFixed.length; ++k_a) {
              for (int k_b=0; k_b<isBetaFixed.length; ++k_b) {
                for (int k_n=0; k_n<isNuFixed.length; ++k_n) {
                  for (int k_r=0; k_r<isRhoFixed.length; ++k_r) {
//FIXME: uncomment
                    final SABRInterpolation sabrInterpolation = new SABRInterpolation(
                            new Array(strikes), new Array(volatilities),
                            expiry, forward,
                            alphaGuess, betaGuess, nuGuess, rhoGuess,
                            isAlphaFixed[k_a], isBetaFixed[k_b],
                            isNuFixed[k_n], isRhoFixed[k_r],
                            vegaWeighted[i],
                            endCriteria, methods[j]);
                    sabrInterpolation.update();

                    // Recover SABR calibration parameters
                    final boolean failed = false;
                    final double calibratedAlpha = sabrInterpolation.alpha();
                    final double calibratedBeta  = sabrInterpolation.beta();
                    final double calibratedNu    = sabrInterpolation.nu();
                    final double calibratedRho   = sabrInterpolation.rho();

                    // TODO: remove these declarations. Added just to make it compile.
//                    final double calibratedAlpha = Double.NaN;
//                    final double calibratedBeta  = Double.NaN;
//                    final double calibratedNu    = Double.NaN;
View Full Code Here
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
          for (int i=0; i<vegaWeighted.length; ++i) {
            for (int k_a=0; k_a<isAlphaFixed.length; ++k_a) {
              for (int k_b=0; k_b<isBetaFixed.length; ++k_b) {
                for (int k_n=0; k_n<isNuFixed.length; ++k_n) {
                  for (int k_r=0; k_r<isRhoFixed.length; ++k_r) {
                    final SABRInterpolation sabrInterpolation =
                      new SABRInterpolation(strikeArray, volatilityArray, expiry, forward,
                                         alphaGuess, betaGuess, nuGuess, rhoGuess,
                                         isAlphaFixed[k_a], isBetaFixed[k_b],
                                         isNuFixed[k_n], isRhoFixed[k_r],
                                         vegaWeighted[i],
                                         endCriteria, methods_.get(j));
                    sabrInterpolation.update();

                    // Recover SABR calibration parameters
                    final double calibratedAlpha = sabrInterpolation.alpha();
                    final double calibratedBeta = sabrInterpolation.beta();
                    final double calibratedNu = sabrInterpolation.nu();
                    final double calibratedRho = sabrInterpolation.rho();
                    double error;

                    // compare results: alpha
                    error = abs(initialAlpha-calibratedAlpha);
                    assertFalse("\nfailed to calibrate alpha Sabr parameter:" +
View Full Code Here
TOP

Related Classes of org.jquantlib.math.interpolations.SABRInterpolation$SABRInterpolationImpl

  • org.jquantlib.math.matrixutilities.Array
  • org.jquantlib.math.optimization.EndCriteria
  • org.jquantlib.math.optimization.NoConstraint
  • org.jquantlib.math.optimization.Problem
  • org.jquantlib.math.optimization.ProjectedCostFunction
  • org.jquantlib.math.optimization.Simplex
  • org.jquantlib.termstructures.volatilities.Sabr
  • org.jquantlib.testsuite.math.interpolations.InterpolationTest
  • org.jquantlib.testsuite.math.interpolations.SABRInterpolationTest
  • org.jquantlib.lang.exceptions.LibraryException
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.